Empirical Analysis of The Yield Curve : The Information in The Data Viewed Through The Window of Cox, Ingersoll, And Ross  

Oleh:

Lamoureux, Christopher G. ; Witte, H. Douglas

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 3 (2002), page 1479-1520.
Topik: ANALYSIS; studies; yield; models; time series; correlation analysis
Fulltext: p 1479.pdf (762.31KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.6 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper uses recent advances in bayesian estimation methods to exploit fully and efficiently the time - series and cross - sectional empirical restriction og the cox, ingersoll and ross model of the term structure. We examine the extent to which the cross - sectional data (five different instruments) provide information about the model. We find that the time series restrictions of the two - factor model are generally consistent with the data. However, the model's cross - sectional restrictions are not. We show that adding a third factor produces a significant statistical improvement, but causes the average time - series fit to the yields themselves to deteriorate.

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